Capturing a Change in the Covariance Structure of a Multivariate Process

This research is inspired from monitoring the process covariance structure of q attributes where samples are independent, having been collected from a multivariate normal distribution with known mean vector and unknown covariance matrix. The focus is on two matrix random variables, constructed from different Wishart ratios, that describe the process for the two consecutive time periods before and immediately after the change in the covariance structure took place. The product moments of these constructed random variables are highlighted and set the scene for a proposed measure to enable the practitioner to calculate the run-length probability to detect a shift immediately after a change in the covariance matrix occurs. Our results open a new approach and provides insight for detecting the change in the parameter structure as soon as possible once the underlying process, described by a multivariate normal process, encounters a permanent/sustained upward or downward shift.

Estimation of Autoregressive Parameters from Noisy Observations Using Iterated Covariance Updates

Estimating the parameters of the autoregressive (AR) random process is a problem that has been well-studied. In many applications, only noisy measurements of AR process are available. The effect of the additive noise is that the system can be modeled as an AR model with colored noise, even when the measurement noise is white, where the correlation matrix depends on the AR parameters. Because of the correlation, it is expedient to compute using multiple stacked observations. Performing a weighted least-squares estimation of the AR parameters using an inverse covariance weighting can provide significantly better parameter estimates, with improvement increasing with the stack depth. The estimation algorithm is essentially a vector RLS adaptive filter, with time-varying covariance matrix. Different ways of estimating the unknown covariance are presented, as well as a method to estimate the variances of the AR and observation noise. The notation is extended to vector autoregressive (VAR) processes. Simulation results demonstrate performance improvements in coefficient error and in spectrum estimation.

Bias and robustness of eccentricity estimates from radial velocity data

ABSTRACT Eccentricity is a parameter of particular interest as it is an informative indicator of the past of planetary systems. It is however not always clear whether the eccentricity fitted on radial velocity data is real or if it is an artefact of an inappropriate modelling. In this work, we address this question in two steps: we first assume that the model used for inference is correct and present interesting features of classical estimators. Secondly, we study whether the eccentricity estimates are to be trusted when the data contain incorrectly modelled signals, such as missed planetary companions, non-Gaussian noises, correlated noises with unknown covariance, etc. Our main conclusion is that data analysis via posterior distributions, with a model including a free error term gives reliable results provided two conditions. First, convergence of the numerical methods needs to be ascertained. Secondly, the noise power spectrum should not have a particularly strong peak at the semiperiod of the planet of interest. As a consequence, it is difficult to determine if the signal of an apparently eccentric planet might be due to another inner companion in 2:1 mean motion resonance. We study the use of Bayes factors to disentangle these cases. Finally, we suggest methods to check if there are hints of an incorrect model in the residuals. We show on simulated data the performance of our methods and comment on the eccentricities of Proxima b and 55 Cnc f.